國企系林志鴻 教授於
期刊論文
發佈
CEO overconfidence and shadow-banking life insurer performance under government purchases of distressed assets
,
[107-2]
：CEO overconfidence and shadow-banking life insurer performance under government purchases of distressed assets期刊論文CEO overconfidence and shadow-banking life insurer performance under government purchases of distressed assetsShi Chen; Jyh-Horng Lin; Wenyu Yao; Fu-Wei Huangprofit-sharing life insurance policy;CEO overconfidence;shadow-banking transactionSpecial issue Financial Risks and Regulation 7(1), p.28In this paper, we develop a contingent claim model to evaluate the equity, default risk,
and efficiency gain/loss from managerial overconfidence of a shadow-banking life insurer under the
purchases of distressed assets by the government. Our paper focuses on managerial overconfidence
where the chief executive officer (CEO) overestimates the returns on investment. The investment
market faced by the life insurer is imperfectly competitive, and investment is core to the provision of
profit-sharing life insurance policies. We show that CEO overconfidence raises the default risk in th

4

107/2

國企系林志鴻 教授於
期刊論文
發佈
Cross-Border Lending, Government Capital Injection,
,
[107-2]
：Cross-Border Lending, Government Capital Injection,期刊論文Cross-Border Lending, Government Capital Injection,Jyh-Horng Lin; Pei-Chi Lii; Fu-Wei Huang; Shi Chencross-border lending; bank interest margin; government capital injection; barrier optionJournal of Financial Studies(IJFS-7020021)In this paper, we develop a contingent claim model to examine the optimal bank interest
margin, i.e., the spread between the domestic loan rate and the deposit market rate of an international
bank in distress. The framework is used to evaluate the cross-border lending eciency for a bank that
participates in a government capital injection program, a government intervention used in response
to the 2008 financial crisis. This paper suggests that government capital injection is an appropriate
way to recapitalize the distressed bank, enhancing the bank interest margin and survival probability.
Nevertheless, the government capital injection lacks eciency when the bank’s cross-border lending
is high. St

5

107/2

國企系林志鴻 教授於
期刊論文
發佈
Cross-Border Lending, Government Capital Injection,
,
[107-2]
：Cross-Border Lending, Government Capital Injection,期刊論文Cross-Border Lending, Government Capital Injection,Jyh-Horng Lin; Pei-Chi Lii; Fu-Wei Huang; Shi Chencross-border lending; bank interest margin; government capital injection; barrier optionJournal of Financial Studies(IJFS-7020021)In this paper, we develop a contingent claim model to examine the optimal bank interest
margin, i.e., the spread between the domestic loan rate and the deposit market rate of an international
bank in distress. The framework is used to evaluate the cross-border lending eciency for a bank that
participates in a government capital injection program, a government intervention used in response
to the 2008 financial crisis. This paper suggests that government capital injection is an appropriate
way to recapitalize the distressed bank, enhancing the bank interest margin and survival probability.
Nevertheless, the government capital injection lacks eciency when the bank’s cross-border lending
is high. St

6

107/2

國企系林志鴻 教授於
期刊論文
發佈
Optimal Bank Interest Margin Under Capital Regulation:
,
[107-2]
：Optimal Bank Interest Margin Under Capital Regulation:期刊論文Optimal Bank Interest Margin Under Capital Regulation:Xuelian Li; Jyh-Horng Lin; Fu-Wei HuangRegret;shadow banking;bank interest margin;capital regulationInternational Journal of Information and Management SciencesThis paper takes a contingent claim approach to the market valuation of a banking
firm’s equity. A model is presented that explicitly takes into account the following: (i) the
bank is regret-averse; (ii) the earning-asset portfolio of the bank includes regular banking
loans, default-free liquid assets, and shadow banking wealth management products; and (iii)
imposing heightened capital requirements on the bank emerges. We argue that it may not
be regretful for the bank to conduct the WMPs, implying that these activities have been
increasing over time. Increases in WMPs or capital requirements decrease the bank interest
margin, which makes the bank more prone to loan risk-taking, thereby adversely affecting
bank

7

107/2

國企系林志鴻 教授於
期刊論文
發佈
Sunflower management and life insurance
,
[107-2]
：Sunflower management and life insurance期刊論文Sunflower management and life insuranceJyh-Horng Lin; Fu-Wei Huang; Shi ChenGuaranteed interest rate, Participating life insurance contract, Insurer interest margin, Sunflower managementReview of Behavioral Finance(RBF-05-2018-0053.R1)Purpose - This paper develops a theoretical framework to answer the following question. What are the consequences of sunflower behavior as well as spread behavior for how asset-liability management is administrated in a life insurance company?
Design/methodology/approach - This paper takes into account the following: (i) the Chief Executive Officer (CEO) of a life insurance company confirms the board of directors’ belief – the preference of the like of higher return relative to the dislike of higher risk; we call such behavior sunflower management; (ii) the life insurance policyholder is entitled to a guaranteed interest rate and a participation percentage of the company’s investment surplus; and (iii) we exa

資管系徐煥智 教授於
期刊論文
發佈
A Dynamic MADM Method for the Selection of a Big Data Service Provider
,
[107-2]
：A Dynamic MADM Method for the Selection of a Big Data Service Provider期刊論文A Dynamic MADM Method for the Selection of a Big Data Service ProviderLiang Yin, Huan-Jyh ShyurDynamic decision making, MADM, prospect theory, big data.International Journal of Information and Management SciencesThe decision making process for selection of a proper Big Data service platform can be
complex and dynamic. The bidding process can occur multiple times, the assessment criteria
vary each time and they may conflict with each other. Most existing multiple attribute
decision-making (MADM) methods are unable to take into account such dynamic process.
This paper presents a new dynamic decision making method for the selection of a big data
service provider. The dynamic nature of such process is addressed by means of a feedback
mechanism. The final decision is taken at the end of a series of exploratory processes.
The ranking algorithm for the proposed method uses prospect theory to reflect the decision

產經系洪鳴丰 副教授於
期刊論文
發佈
Individuals’Intentions to Mitigate Air Pollution: Vehicles, Household Appliances, and Religious Practices
,
[108-1]
：Individuals’Intentions to Mitigate Air Pollution: Vehicles, Household Appliances, and Religious Practices期刊論文Individuals’Intentions to Mitigate Air Pollution: Vehicles, Household Appliances, and Religious PracticesMing-FengHung; Chiung-Ting Chang; Daigee ShawAir pollution;De-carbonization;Joss paper;PLS-SEM;Theory of planned behavior (TPB)Journal of Cleaner Production 227, p.566-577While combating air pollution may seem to be a corporate responsibility, what individuals contribute can be substantial. This study explores the individual's behavioral intention to reduce the air pollution associated with vehicles, household appliances, and religious practices. An extended theory of planned behavior (TPB), past behavior included, serves as the analytical model, while the approach of partial least squares structural equation modeling (PLS-SEM) is employed in the model's estimation. The results show that subjective norms represent the primary driver of individual intentions to reduce air poll

22

107/2

財金系李命志 教授於
期刊論文
發佈
Does the ETF Market Overreact in the United States?
,
[107-2]
：Does the ETF Market Overreact in the United States?期刊論文Does the ETF Market Overreact in the United States?Ming-Chih Lee; Chien-Ming Huang; Yin-Ru JauDynamic correlation;liquidity;financial crisis;monetary environmentInternational Journal of Information and Management Sciences 30(1), p.73-86This paper aims to investigate the dynamic correlation of liquidities between the ETF market and the stock market in the United States. To accurately capture the characteristics of liquidity distribution and to effectively enhance the reliability of an empirical analysis, this paper adopts the DCC-GARCH Model with normal- and heavy-tailed distribution proposed by Politis [16] to examine whether there is an overreaction to market information in the ETF market. Empirical results show that the liquidities in the two markets exhibit leptokurtic and fat-tailed features and clusters of volatilities. It clearly indicates that a fat-tailed distribution for measuring the residual pattern of the two market liq